LÉVY SIMPLE STRUCTURAL MODELS

This paper considers credit portfolio models based on Levy processes in general, and the gamma model in particular. It describes both single-name and multi-name situations using the gamma model, along with calibration fits and a comparison of various simple Levy models. There is also extensive historical data, including the May 2005 Auto crisis, which can be described in terms of the model. Parameter-based risk management using the gamma model is also discussed along with implementation details.

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Year of publication:	2007
Authors:	BAXTER, MARTIN
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 10.2007, 04, p. 593-606
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Structural credit model \| CDO pricing \| Levy process \| gamma process

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004971744